Numerical method for a Markov-modulated risk model with two-sided jumps (Q1938188): Difference between revisions
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Revision as of 06:17, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical method for a Markov-modulated risk model with two-sided jumps |
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Numerical method for a Markov-modulated risk model with two-sided jumps (English)
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4 February 2013
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Summary: This paper considers a perturbed Markov-modulated risk model with two-sided jumps, where both the upward and downward jumps follow arbitrary distribution. We first derive a system of differential equations for the Gerber-Shiu function. Furthermore, a numerical result is given based on Chebyshev polynomial approximation. Finally, an example is provided to illustrate the method.
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